Interest and Inflation Risk: Investor Behavior.

ABSTRACT: We examine investor behavior under interest and inflation risk in different scenarios. To that end, we analyze the relation between stock returns and unexpected changes in nominal and real interest rates and inflation for the US stock market. This relation is examined in detail by breaking the results down from the US stock market level to sector, sub-sector, and to individual industries as the ability of different industries to absorb unexpected changes in interest rates and inflation can vary by industry and by contraction and expansion sub-periods. While most significant relations are conventionally negative, some are consistently positive. This suggests some relevant implications on investor behavior. Thus, investments in industries with this positive relation can form a safe haven fro

SUBMITTER: Gonzalez Mde L 

PROVIDER: S-EPMC4796036 | biostudies-literature | 2016

REPOSITORIES: biostudies-literature